Correlation Between Eaton Vance and Parametric Emerging

Can any of the company-specific risk be diversified away by investing in both Eaton Vance and Parametric Emerging at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Eaton Vance and Parametric Emerging into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Eaton Vance Municipal and Parametric Emerging Markets, you can compare the effects of market volatilities on Eaton Vance and Parametric Emerging and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Eaton Vance with a short position of Parametric Emerging. Check out your portfolio center. Please also check ongoing floating volatility patterns of Eaton Vance and Parametric Emerging.

Diversification Opportunities for Eaton Vance and Parametric Emerging

0.26

Correlation Coefficient

Eaton Vance  Parametric Emerging

Modest diversification

The 3 months correlation between Eaton and Parametric is 0.26. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Municipal and Parametric Emerging Markets in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Parametric Emerging and Eaton Vance is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Eaton Vance Municipal are associated (or correlated) with Parametric Emerging. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Parametric Emerging has no effect on the direction of Eaton Vance i.e., Eaton Vance and Parametric Emerging go up and down completely randomly.

Pair Corralation between Eaton Vance and Parametric Emerging

Assuming the 90 days horizon Eaton Vance Municipal is expected to under-perform the Parametric Emerging. But the mutual fund apears to be less risky and, when comparing its historical volatility, Eaton Vance Municipal is 1.83 times less risky than Parametric Emerging. The mutual fund trades about -0.24 of its potential returns per unit of risk. The Parametric Emerging Markets is currently generating about -0.03 of returns per unit of risk over similar time horizon. If you would invest  1,457  in Parametric Emerging Markets on September 27, 2024 and sell it today you would lose (5.00) from holding Parametric Emerging Markets or give up 0.34% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	100.0%
Values	Daily Returns

Eaton Vance Municipal  vs.  Parametric Emerging Markets

Eaton Vance Municipal

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Eaton Vance Municipal has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong fundamental indicators, Eaton Vance is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Parametric Emerging

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Parametric Emerging Markets has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong primary indicators, Parametric Emerging is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Eaton Vance and Parametric Emerging

The main advantage of trading using opposite Eaton Vance and Parametric Emerging positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Eaton Vance position performs unexpectedly, Parametric Emerging can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Parametric Emerging will offset losses from the drop in Parametric Emerging's long position.

The idea behind Eaton Vance Municipal and Parametric Emerging Markets pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the CEOs Directory module to screen CEOs from public companies around the world.